Documenting the Post-2000 Decline in the Idiosyncratic Volatility Effect

Critical Finance Review ◽

10.1561/104.00000095 ◽

2021 ◽

Vol 10 (3) ◽

pp. 419-427

Author(s):

Chaehyun Pyun

Keyword(s):

Idiosyncratic Volatility

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Price Momentum and Idiosyncratic Volatility

CFA Digest ◽

10.2469/dig.v38.n4.19 ◽

2008 ◽

Vol 38 (4) ◽

pp. 51-52

Author(s):

John R. Minahan

Keyword(s):

Idiosyncratic Volatility ◽

Price Momentum

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A Firm-Level Analysis of the Cross-Sectional Relation between Expected Returns and Expected Idiosyncratic Volatility in the Korean Stock Market

Asian Review of Financial Research ◽

10.37197/arfr.2019.32.4.1 ◽

2019 ◽

Vol 32 (4) ◽

pp. 513-561

Author(s):

Sangkyu Lee ◽

◽

Young Sik Kim

Keyword(s):

Stock Market ◽

Idiosyncratic Volatility ◽

Expected Returns ◽

Firm Level ◽

Cross Sectional ◽

Korean Stock Market ◽

The Cross ◽

Level Analysis

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Is Idiosyncratic Volatility Really Priced?

SSRN Electronic Journal ◽

10.2139/ssrn.1573085 ◽

2010 ◽

Author(s):

Mikael C. Bergbrant

Keyword(s):

Idiosyncratic Volatility

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Idiosyncratic Volatility and Expected Returns at the Global Level

SSRN Electronic Journal ◽

10.2139/ssrn.2559587 ◽

2015 ◽

Cited By ~ 2

Author(s):

Mehmet Umutlu

Keyword(s):

Idiosyncratic Volatility ◽

Expected Returns ◽

Global Level

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The Bid-Ask Bounce Effect and the Pricing of Cross-Sectional Idiosyncratic Volatility: An Australian Study

SSRN Electronic Journal ◽

10.2139/ssrn.2563610 ◽

2015 ◽

Author(s):

Bin Liu ◽

Michael J. Dempsey ◽

Monica Tan

Keyword(s):

Idiosyncratic Volatility ◽

Australian Study ◽

Cross Sectional

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Innovation, Good Idiosyncratic Volatility, and Stock Returns

SSRN Electronic Journal ◽

10.2139/ssrn.3055504 ◽

2017 ◽

Cited By ~ 1

Author(s):

Praveen Kumar ◽

Dongmei Li

Keyword(s):

Stock Returns ◽

Idiosyncratic Volatility

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Mispricing, Research Design Choices, and the Idiosyncratic Volatility Puzzle

SSRN Electronic Journal ◽

10.2139/ssrn.3104522 ◽

2018 ◽

Author(s):

Jing Fang

Keyword(s):

Research Design ◽

Idiosyncratic Volatility ◽

Volatility Puzzle ◽

Idiosyncratic Volatility Puzzle

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The Role of Analysts: An Examination of the Idiosyncratic Volatility Anomaly in the Chinese Stock Market

SSRN Electronic Journal ◽

10.2139/ssrn.3111100 ◽

2017 ◽

Author(s):

Ming Gu ◽

George Jiang ◽

Bu Xu

Keyword(s):

Stock Market ◽

Idiosyncratic Volatility ◽

Chinese Stock Market

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A Multi-Factor Model of Idiosyncratic Volatility

SSRN Electronic Journal ◽

10.2139/ssrn.3221878 ◽

2019 ◽

Cited By ~ 2

Author(s):

Thijs van der Heijden ◽

Qi Zeng ◽

Yichao Zhu

Keyword(s):

Factor Model ◽

Idiosyncratic Volatility

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The Alphas of Beta and Idiosyncratic Volatility

SSRN Electronic Journal ◽

10.2139/ssrn.3706597 ◽

2020 ◽

Author(s):

Percy Poon ◽

Tong Yao ◽

Andrew (Jianzhong) Zhang

Keyword(s):

Idiosyncratic Volatility

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